1536 search results for "regression"

Linear Models with Multiple Fixed Effects

December 11, 2012
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Linear Models with Multiple Fixed Effects

Estimating a least squares linear regression model with fixed effects is a common task in applied econometrics, especially with panel data. For example, one might have a panel of countries and want to control for fixed country factors. In this case the researcher will effectively include this fixed identifier as a factor variable, and then proceed to

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A Simple Model for Realized Volatility

December 9, 2012
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A Simple Model for Realized Volatility

The post has two goals: (1) Explain how to forecast volatility using a simple Heterogeneous Auto-Regressive (HAR) model. (Corsi, 2002) (2) Check if higher moments like Skewness and Kurtosis add forecast value to this model. It will be a high … Continue reading →

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Handling missing data with Amelia

December 9, 2012
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Handling missing data with Amelia

So, what if you have data, but some of the observations are missing? Many statistical techniques assume no missingness, so we might want to “fill in” or rectangularize our data, by replacing missing observations with plausible substitutes....

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Please stop using Excel-like formats to exchange data

December 7, 2012
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Please stop using Excel-like formats to exchange data

I know “officially” data scientists all always work in “big data” environments with data in a remote database, streaming store or key-value system. But in day to day work Excel files and Excel export files get used a lot and cause a disproportionate amount of pain. I would like to make a plea to my Related posts:

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Tibshirani’s original paper on the lasso. Breiman’s…

December 6, 2012
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Tibshirani’s original paper on the lasso.
Breiman’s…

Tibshirani’s original paper on the lasso. Breiman’s Garotte — 1993 Tibshirani lasso paper submitted — 1994 Tibshirani lasso paper revised — 1995 Tibshirani lasso paper accepted — 1996 This is one of those papers that I’m so excited about, I feel like “You should just read the whole thing! It’s all good!” But I realise that’s less than reasonable. Here is a bit of summary,...

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How a Mexican state ended up with more drug war homicides than total homicides

December 5, 2012
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How a Mexican state ended up with more drug war homicides than total homicides

During 2007 and 2008 the Mexican state of Sinaloa had more drug war-related homicides than total homicides. This should in theory be impossible since drug war homicides are a subset of total homicides. How did this happen? Here is a chart from my old post highlighting the monthly difference between the...

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Modis QC Bits

December 5, 2012
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Modis QC Bits

In the course of working through my MODIS  LST project and reviewing the steps that Imhoff and Zhang took as well has the data preparations other researchers have taken ( Neteler ) the issue of MODIS Quality control bits came up.  Every MODIS  HDF file comes with multiple SDS or multiple layers of data. For

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Climate: Misspecified

December 4, 2012
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Climate: Misspecified

I'm usually quite a big fan of the content syndicated on R-Bloggers (as this post is), but I came across a post yesterday that was as statistically misguided as it was provocative. In this post, entitled "The Surprisingly Weak Case for Global Warming," the author (Matt Asher) claims that the trend toward hotter average global temperatures over the last

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The surprisingly weak case for global warming

December 3, 2012
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The surprisingly weak case for global warming

I welcome your thoughts on this post, but please read through to the end before commenting. Also, you’ll find the related code (in R) at the end. For those new to this blog, you may be taken aback (though hopefully not bored or shocked!) by how I expose my full process and reasoning. This is

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Trading with Support Vector Machines (SVM)

November 30, 2012
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Trading with Support Vector Machines (SVM)

Finally all the stars have aligned and I can confidently devote some time for back-testing of new trading systems, and Support Vector Machines (SVM) are the new “toy” which is going to keep me busy for a while. SVMs are a well-known tool from the area of supervised Machine Learning, and they are used both

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